Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital...

This paper presents an analysis, both in theoretical and empirical terms, of the fungibility of international private capital flows. For this, we adopt an open investigative position, implementing univariate and multivariate investigation of the capital movements related to Brazilian economy...

Using a New Keynesian framework, this paper compares the effects on the welfare of optimal monetary policies under commitment and discretion, and examines the consequences of the presence of inflation persistence. A policy under commitment generates a better-weighted average of the variances of...

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use...

This article presents a brief survey about core inflation and shows the first results obtained in the computation of such indicator for the Brazilian IPCA for the period from January/1996 to ay/2000. The performance of five alternative measures of core inflation (exclusion method, symmetric...

This paper aims to study the economic impacts of the CPMF in the Brazilian economy and was divided in three parts. In the first part, the CPMF is analyzed under the scope of the economic theory. In the second part, the international experience with taxes similar to the CPMF is discussed. At the...

Based on a 6 equation model by Haldane and Battini (1999), we estimated a Phillips and an IS equations for Brazil after the Real Plan, in order to study the transmission mechanism of the monetary policy. The results show that interest rate affects output gap with a lag of one quarter and output...

Most of the recent research in monetary policy has focused on the use of a single exogenously specified standard ad hoc loss function to evaluate policy performance. This literature has come to the conclusion that backward looking models are more difficult to control i.e. monetary policy...

During the last years, administered by contract and monitored prices have risen much more sharply than free prices, pressuring the price index used for the inflation targeting regime (IPCA). This paper examines the adjustment mechanisms of administered prices and the main factors behind their...

The aim of the present research is to use a model economy built for Brazil, based on an optimizing dynamic general equilibrium model, in order to perform numerical simulations to derive the ability of the artificial economy to explain the impact of monetary policy interventions on short run...